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Multiperiod mean-standard-deviation time consistent portfolio selection - MaRDI portal

Multiperiod mean-standard-deviation time consistent portfolio selection (Q2409276)

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Multiperiod mean-standard-deviation time consistent portfolio selection
scientific article

    Statements

    title
    Multiperiod mean-standard-deviation time consistent portfolio selection (English)
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    author
    Hugh Bannister
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    Wei Wu
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    Beniamin Goldys
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    Spiridon I. Penev
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    published in
    Automatica
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    publication date
    11 October 2017
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    zbMATH Keywords
    discrete time
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    dynamic programming
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    time consistency
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    mean-standard-deviation
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    non-self-financing
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    49L20
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    91G10
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    91G80
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    zbMATH DE Number
    6789602
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    OpenAlex ID
    W2510867339
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